Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm (1412.7550v1)

Abstract: This paper presents a novel algorithm, the particle-based, rapid incremental smoother (PaRIS), for efficient online approximation of smoothed expectations of additive state functionals in general hidden Markov models. The algorithm, which has a linear computational complexity under weak assumptions and very limited memory requirements, is furnished with a number of convergence results, including a central limit theorem. An interesting feature of PaRIS, which samples on-the-fly from the retrospective dynamics induced by the particle filter, is that it requires two or more backward draws per particle in order to cope with degeneracy of the sampled trajectories and to stay numerically stable in the long run with an asymptotic variance that grows only linearly with time.